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Effect of forget-remember mechanism on the evolution of complex financial system

Effect of forget-remember mechanism on the evolution of complex financial system. Deng Weibing, Li Wei and Cai Xu. Complexity Science Center Central China Normal University , Wuhan , China. Outline: [1] Forget-remember mechanism ( FRM ).

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Effect of forget-remember mechanism on the evolution of complex financial system

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  1. Effect of forget-remember mechanism on the evolution of complex financial system Deng Weibing, Li Wei and Cai Xu Complexity Science Center Central China Normal University , Wuhan , China

  2. Outline: [1] Forget-remember mechanism (FRM). [2] The herding multi-agent model. [3] FRM on the complex financial system. [4] Some results. [5] Discussions and Outlook.

  3. [1] The Forget-remember mechanism on spreading take a different way by relating the message spreading to the learning process. In the message spreading, individuals forget and remember messages as time elapses.

  4. The next state of the agent depends on the previous states, not just only on the current state ! Different from that of the Markov-chain

  5. [2] The herding multi-agent model (i) A random dispersion of information (ii) Herding: agents having the same state and being linked form a cluster that makes consensual decisions (iii) Each agent within the cluster randomly changes its state V.M. Eguiluz and M.G. Zimmerman, Phys. Rev. Lett 85 (2000) 26

  6. Ignoring the influence of thehistorical actions and state

  7. [3] FRM on the complex financial system Actions of the agents depend on: [1] Previous actions or states: Similar to the FRM [2] Environmental influence: State of the neighbors

  8. Consider a system of N agents in a scale free network, the optional states of the agents : { 0 , 1 } 1 : posses the valuable securities. 0 : not. 0 → 1: buy the price will rise. 1 → 0: sell the price will fall.

  9. Where d is the difference, z is the market depth

  10. [4] Some results:

  11. Fractal structure: Long-range correlations:

  12. Discussions and outlook : [1] Change the values of the parameters [2] How to compare with the empirical data? [3] The theoretical solutions

  13. Acknowledgement [1] Prof. Li Wei and Prof. Cai Xu [2] Prof. Didier Sornette [3] China Center of Advanced Science and Technology

  14. Welcome comments! Thank You !

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